Why don't i have an option called collection?
Either you have not changed the Particle Emitter to use collections, or you have not created a collection for the sprinkles. BlenderGuru changed the particle emitter to use collections earlier in the video here. 

If you did not create a new collection, you right-click in that window in the top right corner, and press New. This will create a new collection that you can rename by double-clicking, or pressing F2.

Alternatively, you can select all the objects you want to move to the new collection (in this case, all your sprinkles), press M and select + New Collection. BlenderGuru showed this process in the previous video here.



Edit: unrelated to original question, related to comments

Looking at the objects list in the top right corner, The donut and the sphere both have Particle Emitters applied. 



To remove them, first, select the object (either the donut or the sphere, you don't want to delete the particle emitter from the icing), then go to the Particle Properties tab (blue icon with a couple of dots connected with lines). Then, press the minus button shown below.